Earlier in December 2010, I posted three articles on DataGrid titled as "Grouping Records in Silverlight DataGrid using PagedCollectionView", "Filtering Records in Silverlight DataGrid using PagedCollectionView" and "Paginating Records in Silverlight DataGrid using PagedCollectionView". If you didn't read them, go thru each articles to know more about Silverlight DataGrid.
One of my reader "Dan" asked me to write an article on "Group Row Header customization of Silverlight DataGrid" and here is that article for you. If you want to do UI customization of Row Group Header, this article will definitely help you. Here, I will show you how to modify the XAML to add different content to create a multi level row group header too.